Setting up the infrastructure for that manufacturing is expensive and complicated, requiring supply chains and skilled workers. Even ignoring the risks of disruption by hostile action that’s a lot of infrastructure and industrial capacity to build up in an active war zone, and from the western perspective it’s better long-term to have that extra manufacturing capacity locally, to say nothing of being easier to sell to politicians and voters.
@YourNetworkIsHaunted Ukraine is building its missiles well enough even now, it has expertise, skilled workers, etc. Ever heard of Mriya, Antonov, etc?
Also, ironically, it was a major supplier of the Russian Air Forces, and it maintained Russian rockets until recently.